David Booth谈指数基金起源与市场科学

Bloomberg Audio Studios podcasts radio news.

This week on the podcast, what can I say? uh legendary investor and founder of Dimensional Funds, David Booth talks about his entire career, his philosophy, philanthropy, how he helped build DFA to a trillion dollar fund, and why people refuse to just manage what they can and stay calm in the face uh of volatility and market events. I thought the conversation and the book stay calm was fascinating and I think you will also.

David Booth, welcome back to Bloomberg.

Well, thanks for having me. It's always a pleasure.

Uh, I was going to say the same. It's always a pleasure. I know your background, but I I'm going to assume a lot of listeners may not be familiar with it. So, I want to start with go all the way back to your um college and and grad school education. You get a bachelor's in economics from the University of Kansas. Then you get a master's degree focused in business and then you go to the University of Chicago for a PhD.

That very much sounds like academia was the future.

Well, that it really was. I mean, in the sense that like a lot of kids when you're in college or even high school, you think, "Boy, I'd like to be a professor because that's all you know, right?" And uh

and it's a great job. You're on a campus. It's looks like fun.

Yeah. Back back in those days, it it was a um you know, it was a it was it was a good uh it was a good professionally. Um I mean, there is a thrill of teaching kids, seeing the light go on. kind of the same thing we have in business. You when when you have a client finally they uh

when they get when they get it, you know, it's very cool.

So So at Chicago you pivot from a PhD to an MBA and eventually you become some young professor was not that much older than you. Gene FMA's uh assistant, researcher, TA. Tell us a little bit about what led to that pivot. Well, I mean the backdrop is uh in that period of time the late 60s early 70s that's where uh science really emerged or finance emerged as a science and has continued to involve you know even today and by that I mean um for something to be a science you need testable hypothesis don't worry I'm not getting too heavy into this uh the uh and before 1960 they just didn't have the data to test things out.

So um uh in the early 60s that uh the University of Chicago developed this research quality database

Crisp.

Crisp had started in 1926. So now we have they've updated it. So now we have over a hundred years of data.

What when did Chicago first roll that out?

About 63. while FMA my mentor and Nobel laurate in 2013 uh the um he was he was in the PhD program and Chicago the Jim Lori and Larry Fischer developed this database and they turned it over to Jean and said look do some paper do something with this data

and so he he started he had a head start on everybody which is and for the next 20 years he was a the most cited you know academic

still one of the most cited academics

maybe the most ever really in in finance

uh first mover advantage for sure so around the time you finish your PhD farmer's um efficient market hypothesis that that thesis was starting to gain traction at least in academia if not yet on Wall Street tell us a little bit about what was so attractive about EMH

well it was it was incredibly exciting first let me make a slight correction. I actually didn't get a PhD. I

Right. You got a DM. You were working on your PhD and then got an MBA.

Yeah. And eventually I decided the world would be better served if Gene FMA did research. And I tried to apply the ideas

rather than the other way around. Uh so uh um I walked into his office one day and said, "Look, I think I'd like to leave the program."

So he calls up M. McQueen out at Wells Fargo in San Francisco. Mack was in charge of applying quantitative methods for the bank and one of the areas he worked on was investing. So he calls up Mac. Mech uh had always wanted one of his students. So he recommended me and Mac and I hit it off and he invited me to go work work for them. So I decided to leave the program.

So the first job did you ever get your MBA by the way?

I got the NBA on the way out. They gave me an MBA.

That was nice. Um that was a good investment on their part. Um, you worked for Mac at Wells Fargo in San Francisco. San Francisco.

I didn't realize you were on the West Coast for a while.

Yeah. Right. It um I mean this is the early '7s, so it was still kind of hate Ashbury kind of thing, you know, for

for sure. Um, so Mack is the guy who's often credited with creating the first version of an index fund. I think if memory serves, it was for an institutional client's pension or something like that.

Yeah. Right. It was Samsonite.

Samsonite. That's right. So,

and um

walk us through that. What What was it like?

It it it was it turns out it was really pivotable pivotal in uh in kind of the history of of finance uh for uh a couple of reasons. One is in um doing all this research uh in in finance the you know the fundamental question became you know if you can't out guess the market how are you supposed to invest I mean most people growing up thinking and back in those days everybody thought that investing was about trying to pick the next winner stock and time markets and that sort of thing and beginning in the mid60s all of a sudden with this burst of data uh they could examine things like are professional managers that try to out guess the market are they worth the cost you know and they've been doing this research for years and there's no compelling evidence that they're worth the cost in fact I think the the most practical assumption for all your readers is you know the the professional investors don't seem to be able to beat the market okay and that has a profound implication and uh in fact um if we can get around more of the personal story.

Uh my parents u grew up in the Great Depression and then uh fought World War II and so forth and and never had much money and uh but they never invested in public markets because they thought of themselves as outsiders and the insiders would make all the money and just take advantage of them. So they never they never invested and and they had a little tougher time in retirement than they they probably should have. And to be fair, the history before uh the postw World War II era was they weren't so wrong,

right? They weren't so wrong. So now that's the breakthrough. One of the implications of the of the new science is uh that the uh outsiders can do as well as the insiders. Maybe better once fees are considered because you can buy market portfolios very easily and very inexpensively now. And the pros don't seem to be able to beat that. Well, the data on the pros, it doesn't matter if you're looking at Morning Star or Spaver or Dalbar or any of the annual studies is in any given year less than half of professionals beat the index and I think that's net of fees.

Um,

in fact, yesterday, sorry, but it was there was a front page article in Wall Street Journal writing called uh only 27% last year in the last 12 years. It was a particularly bad year because one sector dominated and if you didn't have exposure to that sector, you badly lagged and the year before the sector didn't dominate. So, you got to pick the sector, time it right, and stay invested.

Of course, if you do all of that, you don't need our help.

That That's exactly right. So, so Mack creates the first index fund. I'm I'm really curious or one of the first. I'm curious, was there much of a reaction or any push back from Wall Street or did it just kind of slip by unnoticed?

No, there was a huge uh push back. Um it it was stuff they didn't want to hear. I mean, they've been claiming for years, oh yeah, we can beat beat beat the market. We can we can do 15 or 20% regardless of markets. Oh, you have all these claims, right? It turned out, you know, unfort

原文超出正文长度上限，此处截断——上游还有内容，完整版见上方「原文 ↗」。